Professor Charles Sutcliffe
Professor of Finance
E: c.sutcliffe@icmacentre.ac.uk
T: +44 (0)118 378 8239
Specialisms: Stock Index Futures, Pension Schemes
Biography
Charles Sutcliffe is a professor of finance at the ICMA Centre. Previously he was a professor of finance and accounting at the University of Southampton, and the Northern Society Professor of Accounting and Finance at the University of Newcastle. In 1995-96 and 2003-4 he was a visiting professor at the London School of Economics. He has published in a wide range of refereed journals, and is also the author of nine books. He has acted as a consultant to the Financial Services Authority, the Securities and Investments Board, H.M. Treasury, the Cabinet Office, the Corporation of London, the United Nations, the London Stock Exchange and the London International Financial Futures and Options Exchange.
He has received research grants from the Social Science Research Council, the British Council, the Institute of Chartered Accountants in England and Wales and the Chartered Institute of Management Accountants. He is a member of the editorial boards of the Journal of Futures Markets, the Journal of Business Finance and Accounting, the Journal of Financial Management and Analysis and the European Journal of Finance; and is vice-chairman of the Research Board of the Chartered Institute of Management Accountants. For 2001-2007 he was a director of USS Ltd, which manages a £32 billion pension fund.
Books - Authored
Stock Index Futures, Third edition |
Distortion or Distraction: US Restrictions on EU Exchange Trading Screens |
Transparency and Fragmentation: Financial Market Regulation in a Dynamic Environment |
Developing Decision Support Systems: A Study of Health Care Management |
High-Frequency Financial Market Data: Sources, Applications and Market Microstructure |
Stock Index Futures: Theories and International Evidence, Second edition |
Banks and Bad Debts: Accounting for Loan Losses in International Banking |
Stock Index Futures: Theories and International Evidence |
The Dangers of Low Level Radiation |
Books - Edited:
Global Tracker Funds (editor) |
Management Accounting in Healthcare (editor) |
Consultancy Reports
A False Perception? The Relative Riskiness of AIM and Listed Stocks
October 2005, 42 pages, (prepared for the Alternative Investment Market), (with John Board, Alfonso Dufour and Stephen Wells).
The LSE’s AIM Market: Effect on Returns and Trading of Canadian Stocks
June 2006, 74 pages (prepared for The Task Force to Modernize Securities Legislation in Canada), (with John Board, Alfonso Dufour and Stephen Wells).
Grants
Charles Sutcliffe has received research funding totalling over £500,000. This has come from professional bodies, financial exchanges, financial regulators, UK government bodies, European and international organizations and the UK research councils.
Publications
Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria
Annals of Actuarial Science
forthcoming.
Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate.
Handbook of Asset and Liability Management
edited by Stavros A. Zenios and William T. Ziemba, North Holland Handbooks in Finance, Elsevier Science B.V., Volume 2, 2007, pp. 1029-1067, ISBN-10: 0-4o44-52802-4, (with John Board).
Black-Scholes Versus Artificial Neural Networks in Pricing FTSE 100 Options
Intelligent Systems in Accounting, Finance and Management
vol 12, no. 4, October-December 2004, pp. 243-260, ISSN: 1055-615X (with Julia Bennell)
The Cult of the Equity for Pension Funds: Should it Get the Boot?
Journal of Pension Economics and Finance
vol. 4, no. 1, March 2005, pp. 57-85, ISSN: 1474-7472,
Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance
British Actuarial Journal, vol. 10, no. 5, March 2005, pp. 1111-1131, ISSN: 1357-3217.
Reprinted in ICFAI Journal of Risk and Insurance, vol. 3, no. 1, January 2006, pp. 32-49. ISSN 0972-933X
Applying Operations Research Techniques to Financial Markets
Interfaces: An International Journal of the Institute for Operations Research and the Management Sciences
vol. 33, no. 2, ISSN 0092-2102 (2003, March-April) pp 12-24
(with John Board and William Ziemba)
Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options
Journal of Futures Markets
vol. 23, no. 8, ISSN: 0270-7314 (2003, August) pp 773-797
(with Peng Sun)
Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis With Both Overlapping and Non-overlapping Data
Journal of Financial Management and Analysis
vol. 15, no. 1, ISSN 0970-4205 (2002, January-June) pp 27-37
(with Nikolaos Zacharatos)
The Effect of Futures Market Volume on Spot Market Volatility
Journal of Business Finance and Accounting
vol. 28, nos. 7 & 8, ISSN: 0306-686-X (2001, September-October) pp 799-819
(with John Board and Gleb Sandmann)
Problems Encountered When Using High Frequency Financial Market Data: Suggested Solutions
Journal of Financial Management and Analysis
vol. 14, no. 1, ISSN 0970-4205 (2001, January-June) pp 38-51
(with Owain ap Gwilym)
The Performance of Covered Calls
European Journal of Finance
vol. 6. No. 1, ISSN: 1351-847-X (2001, March) pp 1-17
(with John Board and Evangelos Patrinos)
The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange
Journal of Business Finance and Accounting
vol. 27, nos. 7 & 8, ISSN: 0306-686-X (2000, September-October) pp 887-909
(with John Board)
Market Maker Performance: The Search for Fair Weather Market Makers
Journal of Financial Services Research
vol. 17, no. 3, ISSN: 0920-8550 (2000, September) pp 259-276
(with John Board and Anne Vila)
Options Trading When the Underlying Market is Not Transparent
Journal of Futures Markets
vol. 18, no. 2, ISSN: 0270-7314 (1998, April) pp 225-242
(with John Board)
Inventory-Based Stock Market Transparency Rules
Journal of Financial Regulation and Compliance
vol. 5, no. 1, ISSN: 1363-254-X (1997, March) pp 23-28
(with John Board)
Trade Transparency and the London Stock Exchange
European Financial Management
vol, 2, no. 3, ISSN: 1354-7798 (1996, November) pp 355-365
(with John Board)
The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk
Journal of Futures Markets
Vol. 16, No. 1, ISSN: 0270-7314 (1996, March) pp 29-54
(with John Board)
The Relative Volatility of the Markets in Equities and Index Futures
Journal of Business Finance and Accounting
Vol. 22, No. 2, ISSN: 0306-686-X (1995, March) pp 201-223
(with John Board)
The Secondary Offer of Genco Shares and the Prevention of Market Manipulation
Stock Exchange Quarterly
Summer edition, ISSN: 0267-1530/0966-4343 (1995, April-June) pp 16-22
(with John Board)
Quantitative Non-Financial Information and Income Measures: The Case of Long Term Contracts
Journal of Business Finance and Accounting
Vol. 21, No. 3, ISSN: 0306-686-X (1994, April) pp 331-347
(with William Rees)
Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence
Management Science
Vol. 40, No. 4, ISSN: 0025-1909 (1994, April) pp 516-534
(with John Board)
Stock Market Volatility and Stock Index Futures
Stock Exchange Quarterly with Quality of Markets Review
Summer edition, ISSN: 0267-1530/0966-4343 (1992 April-June), pp 11-14,
(with John Board)
Reprinted in Readings in Investments, edited by Stephen Lofthouse, John Wiley and Sons, Chichester, (ISBN 0-471-95208-7) (1994) pp 403-409
Mathematical Modelling and Stochastic Simulation of Accounting Alternatives
Journal of Business Finance and Accounting
Vol 20, No 3, April, ISSN: 0306-686-X (1993) pp 351-358
(with William Rees)
Measuring the Incremental Information Content of Accounting Signals: Use of the Singular Value Decomposition
Journal of Business Finance and Accounting
Vol 19, No 3, ISSN: 0306-686-X (1992, April) pp 447-454
(with John Board and William Rees)
Aggregation and Reciprocal Service Cost Allocation
Journal of Business Finance and Accounting
Vol 18, No 5, ISSN: 0306-686-X (1991,September) pp 721-733
Risk and Income Tradeoffs in Regional Policy: A Portfolio Theoretic Approach
Journal of Regional Science
Vol 31, No 2, A, ISSN: 0022-4146 (1991,April) pp 191-210
(with John Board)
The Ex Ante Benefits of Solving Vehicle Routing Problems
Journal of the Operational Research Society
Vol 42, No 2, ISSN: 0160-5682 (1991, February) pp 135-143
(with John Board)
Optimal Solution of a Vehicle Routing Problem: Transporting Mentally Handicapped Adults to an Adult Training Centre
Journal of the Operational Research Society
Vol 41, No 1, ISSN: 0160-5682 (1990,January) pp 61-67
(with John Board)
Information, Volatility, Volume and Maturity: An Investigation of Stock Index Futures
Review of Futures Markets
Vol 9, No 3, ISSN: 0898-011-X (1990) pp 532-549
(with John Board)
Ex Ante Testing of Accounting Standards Using Stochastic Models
Accounting and Business Research
Vol 19, No 74, ISSN: 0001-4788 (1989, Spring) pp 151-160
(with William Rees)
Truncated Income Multipliers and Local Income Generation Over Time
Applied Economics
Vol 21, No 12, ISSN: 0003-6846 (1989, December) pp 1621-1630
(with Thea Sinclair)
The Estimation of Keynesian Income Multipliers at the Sub-National Level
Applied Economics
Vol 20, No 11, ISSN: 0003-6846 (1988 November), pp 1435-1444
(with Thea Sinclair)
Reprinted in The Economics of Tourism edited by Clement A. Tisdell, The International Library of Critical Writings in Economics, Edward Elgar Publishing Ltd, Cheltenham, ISBN: 1858-98403-3 (1999)
The Weekend Effect in UK Stock Market Returns
Journal of Business Finance and Accounting
Vol 15, No 2, ISSN: 0306-686-X (1988, Summer) pp 199-213
(with John Board)
Negative Multipliers: A Case for Disaggregated Estimation
Journal of Economic and Social Geography
(Tijdschrift voor Economische en Sociale Geografie), Vol. 79, No 2, ISSN: 0040-747-X (1988, June) pp 104-107
(with Thea Sinclair)
Forced Diversification
Quarterly Review of Economics and Business
(subsequently the Quarterly Review of Economics and Finance) Vol 28, No 3, ISSN: 0033-5797 (1988, Autumn) pp 15-52
(with John Board)
The Zoning Decision
Educational Management and Administration
Vol 16, No 3, ISSN: 0263-211-X (1988, Autumn) pp 187-197
(with John Board)
A Portfolio Approach to Regional Tourism
Built Environment
Vol 13, No 2, ISSN: 0263-7960 (1987), pp 124-137
(with John Board and Thea Sinclair)
Reprinted in The Economics of Tourism edited by Clement A. Tisdell, The International Library of Critical Writings in Economics, Edward Elgar Publishing Ltd, Cheltenham, ISBN: 1858-98403-3 (1999)
Designing Secondary School Catchment Areas Using Goal Programming
Environment and Planning A
Vol 18, ISSN: 0013-9173 (1986) pp 661-675
(with John Board)
Optimal Portfolio Diversification and the Effects of Differing Intra Sample Measures of Return
Journal of Business Finance and Accounting
Vol 12, No 4, ISSN: 0306-686-X (1985, Winter) pp 561-574
(with John Board)
Naïve Weighting in Non-Preemptive Goal Programming: Reply
Journal of the Operational Research Society
Vol 36, No 7, ISSN: 0160-5682 (1985, July) pp 648-649
(with John Board and Paul Cheshire)
A Model for the Financial Appraisal of Electronic Book Security Systems with an Application to Berkshire County Libraries
Library and Archival Security
Vol 6, No 4, ISSN: 0196-0075 (1984, Winter) pp 27-42
Goal Programming and Allocating Children to Secondary Schools in Reading
Journal of the Operational Research Society
Vol 35, No 8, ISSN: 0160-5682 (1984, August) pp 719-730
(with John Board and Paul Cheshire)
Injection Leakages, Trade Repercussions and the Regional Income Multiplier: An Extension
Scottish Journal of Political Economy
Vol 30, No 3, ISSN: 0036-9292 (1983, November) pp 275-286
(with Thea Sinclair)
Inflation and Prisoner's Dilemmas
Journal of Post Keynesian Economics
Vol 4, No 4, ISSN: 0160-3477 (1982, Summer) pp 574-585
Keynesian Income Multipliers with First and Second Round Effects: An Application to Tourist Expenditure
Oxford Bulletin of Economics and Statistics
Vol 44, No 4, ISSN: 0305-9049 (1982, November) pp 321-338
(with Thea Sinclair)
The Measurement of Seasonality Within the Tourist Industry: An Application to Tourist Arrivals in Spain
Applied Economics
Vol 12, No 4, ISSN: 0003-6846 (1980, October) pp 429-441
(with Thea Sinclair)
The First Round of the Keynesian Regional Income Multiplier
Scottish Journal of Political Economy
Vol 25, No 2, ISSN: 0036-9292 (1978, June) pp 177-186
(with Thea Sinclair)
